optim.portfolio

0th

Percentile

Optimize portfolio weights

Optimizes portfolio weights by minimizing the variance

Usage
optim.portfolio(
  asset.names,
  increment = 100,
  rf = 0,
  period = c("months", "weeks", "quarters", "years")
)
Arguments
asset.names

Vector of ticker of securities

increment

Number of portfolio to be generated, Default: 100

rf

Risk-free rate of return, Default: 0

period

Period for which the returns are calculated, Default: c("months", "weeks", "quarters", "years")

Details

Minimizes the variance using the method of lagrange multiplier to calculate the portfolio weights with minimized variance for given target return.

Value

Returns a dataframe of the portfolios with different portfolio weights and different target returns and target standard deviation. Using this an investor can choose between range of portfolio to allocate funds.

Aliases
  • optim.portfolio
Examples
# NOT RUN {
optim.portfolio(c('FXAIX', 'TIBFX'), period = 'weeks')
# }
Documentation reproduced from package PortfolioAnalysis, version 1.0.6, License: GPL-3

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